Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0571
Annualized Std Dev 0.2775
Annualized Sharpe (Rf=0%) 0.2058

Row

Daily Return Statistics

Close
Observations 3381.0000
NAs 1.0000
Minimum -0.1259
Quartile 1 -0.0060
Median 0.0009
Arithmetic Mean 0.0004
Geometric Mean 0.0002
Quartile 3 0.0067
Maximum 0.1714
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0010
Variance 0.0003
Stdev 0.0175
Skewness -0.0235
Kurtosis 10.8311

Downside Risk

Close
Semi Deviation 0.0125
Gain Deviation 0.0133
Loss Deviation 0.0143
Downside Deviation (MAR=210%) 0.0167
Downside Deviation (Rf=0%) 0.0124
Downside Deviation (0%) 0.0124
Maximum Drawdown 0.7224
Historical VaR (95%) -0.0258
Historical ES (95%) -0.0434
Modified VaR (95%) -0.0247
Modified ES (95%) -0.0301
From Trough To Depth Length To Trough Recovery
2007-06-14 2009-03-06 2013-10-16 -0.7224 1510 348 1162
2020-02-21 2020-03-23 2021-01-06 -0.4855 222 22 200
2018-08-30 2018-12-24 2019-11-19 -0.2255 308 80 228
2015-08-18 2016-02-11 2016-08-30 -0.2011 262 123 139
2018-01-29 2018-02-08 2018-08-29 -0.0966 149 9 140

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA 1.3 -1.8 -2 0.9 2.3 -2.3 2.7 0.4 1.4
2008 -0.1 -2.4 3.1 2.3 -0.3 0.2 0.3 1.1 2.1 3 -10.3 3.9 2.1
2009 -4.6 -7.4 -0.5 -2 2.7 1.5 0.8 -4.2 -3.8 -2.7 0.5 -1 -19.2
2010 0.9 0.8 0.5 -1.8 -2.8 -0.6 0.1 3.2 0 0.1 1.8 -0.1 1.9
2011 1.6 -1.7 1.4 -0.1 -2.5 1.4 -0.4 -1.9 -2.5 -4.2 -1 -0.5 -10.2
2012 1.6 0.8 0.2 0.5 -3.5 2.3 -0.7 0.5 0.2 1.1 0.3 1 4.3
2013 1.1 -0.3 -0.7 -1.3 -1.1 1.1 1.7 -0.9 0.9 -0.1 -0.1 0.4 0.6
2014 -1.1 0.4 0.5 0.4 0 0.6 -0.3 0.4 -0.9 1 -0.9 -1 -1.1
2015 -1.2 -0.2 -0.1 0.7 0.1 1.6 -0.1 -2.7 0.1 -1.1 0.9 -0.9 -2.9
2016 -0.2 2.8 0.6 -0.5 0.3 -0.4 -0.4 -0.3 0.8 -0.7 0.6 0.3 3
2017 -0.1 1.7 -0.4 0.4 1.2 0 0.5 0.2 0.4 -0.1 0 -0.4 3.6
2018 0.4 -0.7 1 0.4 0.9 0 0.3 0.3 -0.4 0.8 0.7 0.6 4.4
2019 0.6 0.4 1.9 -0.8 -1.3 0.6 -1.9 0.3 -1.9 1.3 -0.4 0.4 -1.1
2020 -1.9 -2.6 -6.1 -4.1 2.4 -2.4 -0.1 0.3 0.5 0.6 2.3 0.8 -10.1
2021 1.7 3.1 -0.9 NA NA NA NA NA NA NA NA NA 3.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-05-10  20.0 SPY    150. -0.0105   -0.0051   0.0386   0.0314    0.128    0.360    0.372 GLD    66   -0.0215  -0.0221
2 2007-05-14  20.1 SPY    151. -0.0022   -0.0028   0.0359   0.0494    0.150    0.372    0.424 GLD    66.3 -0.0026  -0.0289
3 2007-05-17  20.0 SPY    151. -0.002     0.0115   0.0274   0.0377    0.170    0.375    0.378 GLD    65.1 -0.0082  -0.0142
4 2007-05-23  20.3 SPY    152.  0.0001    0.0055   0.0292   0.045     0.209    0.391    0.402 GLD    65.5  0.0049  -0.0009
5 2007-06-14  20.0 SPY    153.  0.0064    0.0252   0.0152   0.096     0.247    0.350    0.490 GLD    64.6  0.0011  -0.0101
6 2007-06-18  20.1 SPY    153. -0.00120   0.0105   0.0105   0.0905    0.212    0.341    0.508 GLD    65.0  0.0015   0.0039
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart